""" Copyright (C) 2021 Marcin Rybacki Copyright (C) 2023 Marcin Rybacki This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. """ import unittest import QuantLib as ql EPSILON = 1.e-8 CAL = ql.TARGET() DCT = ql.Actual365Fixed() IR_FIXINGS = [(ql.Date(3, ql.January, 2023), 0.033), (ql.Date(4, ql.January, 2023), 0.033), (ql.Date(5, ql.January, 2023), 0.033), (ql.Date(6, ql.January, 2023), 0.033), (ql.Date(9, ql.January, 2023), 0.03), (ql.Date(10, ql.January, 2023), 0.03), (ql.Date(11, ql.January, 2023), 0.03), (ql.Date(12, ql.January, 2023), 0.03), (ql.Date(13, ql.January, 2023), 0.03), (ql.Date(17, ql.January, 2023), 0.03), (ql.Date(20, ql.January, 2023), 0.03), (ql.Date(23, ql.January, 2023), 0.03), (ql.Date(24, ql.January, 2023), 0.03), (ql.Date(25, ql.January, 2023), 0.03), (ql.Date(26, ql.January, 2023), 0.03)] def flat_rate(rate): return ql.FlatForward( 2, CAL, ql.makeQuoteHandle(rate), ql.Actual365Fixed()) class ZeroCouponSwapTest(unittest.TestCase): def setUp(self): valuation_date = CAL.adjust(ql.Date(1, ql.June, 2021)) ql.Settings.instance().evaluationDate = valuation_date self.nominal_ts_handle = ql.YieldTermStructureHandle(flat_rate(0.007)) self.ibor_idx = ql.Euribor6M(self.nominal_ts_handle) self.engine = ql.DiscountingSwapEngine(self.nominal_ts_handle) def build_zcs_from_fixed_payment(self, amount): return ql.ZeroCouponSwap(ql.Swap.Receiver, 1.0e6, ql.Date(3, ql.June, 2021), ql.Date(3, ql.June, 2051), amount, self.ibor_idx, CAL) def build_zcs_from_rate(self, rate): return ql.ZeroCouponSwap(ql.Swap.Receiver, 1.0e6, ql.Date(3, ql.June, 2021), ql.Date(3, ql.June, 2051), rate, DCT, self.ibor_idx, CAL) def test_zero_coupon_swap_inspectors(self): """Testing zero coupon swap inspectors""" swap = self.build_zcs_from_fixed_payment(1.5e6) fail_msg = "Unable to replicate the properties of a ZC swap." self.assertEqual(swap.type(), ql.Swap.Receiver, msg=fail_msg) self.assertEqual(swap.startDate(), ql.Date(3, ql.June, 2021), msg=fail_msg) self.assertEqual(swap.maturityDate(), ql.Date(3, ql.June, 2051), msg=fail_msg) self.assertAlmostEqual(swap.baseNominal(), 1.0e6, delta=EPSILON, msg=fail_msg) self.assertAlmostEqual(swap.fixedPayment(), 1.5e6, delta=EPSILON, msg=fail_msg) def test_npvs_of_par_zero_coupon_swap_with_fixed_payment(self): """Testing NPVs of a zero coupon swap with fixed payment""" swap = self.build_zcs_from_fixed_payment(1.5e6) swap.setPricingEngine(self.engine) fair_payment = swap.fairFixedPayment() par_swap = self.build_zcs_from_fixed_payment(fair_payment) par_swap.setPricingEngine(self.engine) npv = par_swap.NPV() fail_npv_msg = """ Unable to replicate par zero coupon swap NPV: calculated: {actual} expected: {expected} """.format(actual=npv, expected=0.0) self.assertAlmostEqual(npv, 0.0, delta=EPSILON, msg=fail_npv_msg) fxd_leg_npv = par_swap.fixedLegNPV() flt_leg_npv = par_swap.floatingLegNPV() fail_legs_npv_msg = """ Unable to replicate the NPVs of a par zero coupon swap legs: fixed leg NPV: {fxd_leg} floating leg NPV: {flt_leg} """.format(fxd_leg=fxd_leg_npv, flt_leg=flt_leg_npv) self.assertAlmostEqual(abs(fxd_leg_npv), abs(flt_leg_npv), delta=EPSILON, msg=fail_legs_npv_msg) def test_npvs_of_par_zero_coupon_swap_with_fixed_rate(self): """Testing NPVs of a zero coupon swap with fixed rate""" swap = self.build_zcs_from_fixed_payment(1.5e6) swap.setPricingEngine(self.engine) fair_rate = swap.fairFixedRate(DCT) par_swap = self.build_zcs_from_rate(fair_rate) par_swap.setPricingEngine(self.engine) npv = par_swap.NPV() fail_msg = """ Unable to replicate par zero coupon swap NPV: calculated: {actual} expected: {expected} """.format(actual=npv, expected=0.0) self.assertAlmostEqual(npv, 0.0, delta=EPSILON, msg=fail_msg) def test_zero_coupon_swap_legs(self): """Testing zero coupon swap legs""" swap = self.build_zcs_from_rate(0.01) fxd_leg = swap.fixedLeg() fxd_cf = ql.as_fixed_rate_coupon(fxd_leg[0]) fail_msg_fxd = """Fixed leg cash flow type should be FixedRateCoupon but was {actual}. """.format(actual=type(fxd_cf)) self.assertTrue(isinstance(fxd_cf, ql.FixedRateCoupon), msg=fail_msg_fxd) flt_leg = swap.floatingLeg() flt_cf = ql.as_sub_periods_coupon(flt_leg[0]) fail_msg_flt = """Floating leg cash flow type should be SubPeriodsCoupon but was {actual}. """.format(actual=type(flt_cf)) self.assertTrue(isinstance( flt_cf, ql.SubPeriodsCoupon), msg=fail_msg_flt) class EquityTotalReturnSwapTest(unittest.TestCase): def setUp(self): valuation_date = ql.Date(27, ql.January, 2023) ql.Settings.instance().evaluationDate = valuation_date self.interest_handle = ql.YieldTermStructureHandle(flat_rate(0.03)) self.dividend_handle = ql.YieldTermStructureHandle(flat_rate(0.0)) equity_spot = ql.makeQuoteHandle(8690.0) self.equity_idx = ql.EquityIndex( "eq_idx", CAL, ql.Currency(), self.interest_handle, self.dividend_handle, equity_spot) ql.IndexManager.instance().clearHistory(self.equity_idx.name()) self.equity_idx.addFixing(ql.Date(5, ql.January, 2023), 9010.0) self.ibor_idx = ql.USDLibor( ql.Period(3, ql.Months), self.interest_handle) ql.IndexManager.instance().clearHistory(self.ibor_idx.name()) self.sofr_idx = ql.Sofr(self.interest_handle) ql.IndexManager.instance().clearHistory(self.sofr_idx.name()) for f_dt, f_val in IR_FIXINGS: self.ibor_idx.addFixing(f_dt, f_val) self.sofr_idx.addFixing(f_dt, f_val) def build_trs(self, interest_idx, start, end, margin=0.025): schedule = ql.Schedule( start, end, interest_idx.tenor(), interest_idx.fixingCalendar(), interest_idx.businessDayConvention(), interest_idx.businessDayConvention(), ql.DateGeneration.Backward, False) return ql.EquityTotalReturnSwap(ql.Swap.Receiver, 1.0e6, schedule, self.equity_idx, interest_idx, DCT, margin) def test_trs_interest_rate_index(self): """Testing equity total return swap interest rate index""" start = ql.Date(5, ql.January, 2023) end = ql.Date(5, ql.April, 2023) trs_vs_ibor = self.build_trs(self.ibor_idx, start, end) trs_vs_sofr = self.build_trs(self.sofr_idx, start, end) fail_msg = "Incorrect interest rate index set to TRS." self.assertEqual(trs_vs_ibor.interestRateIndex().name(), "USDLibor3M Actual/360", msg=fail_msg) self.assertEqual(trs_vs_sofr.interestRateIndex().name(), "SOFRON Actual/360", msg=fail_msg) def test_trs_npv(self): """Testing equity total return swap NPV""" start = ql.Date(5, ql.January, 2023) end = ql.Date(5, ql.April, 2023) pricer = ql.DiscountingSwapEngine(self.interest_handle) trs_vs_ibor = self.build_trs(self.ibor_idx, start, end) trs_vs_ibor.setPricingEngine(pricer) trs_vs_sofr = self.build_trs(self.sofr_idx, start, end) trs_vs_sofr.setPricingEngine(pricer) par_trs_vs_ibor = self.build_trs( self.ibor_idx, start, end, trs_vs_ibor.fairMargin()) par_trs_vs_ibor.setPricingEngine(pricer) par_trs_vs_sofr = self.build_trs( self.sofr_idx, start, end, trs_vs_sofr.fairMargin()) par_trs_vs_sofr.setPricingEngine(pricer) fail_msg = "Par TRS expected to have NPV equal to zero." self.assertAlmostEqual( par_trs_vs_ibor.NPV(), 0.0, delta=EPSILON, msg=fail_msg) self.assertAlmostEqual( par_trs_vs_sofr.NPV(), 0.0, delta=EPSILON, msg=fail_msg) if __name__ == '__main__': print("testing QuantLib", ql.__version__) unittest.main(verbosity=2)